Details about Marina Marena

Access statistics for papers by Marina Marena.

Last updated 2020-10-18. Update your information in the RePEc Author Service.

Short-id: pma1907

Working Papers

2015

1. Dependence Calibration and Portfolio Fit with FactorBased Time Changes
   Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (7)
2. Pricing multivariate barrier reverse convertibles with factor-based subordinators
   Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (2)

Journal Articles

2020

1. On non-linear dependence of multivariate subordinated Lévy processes
   Statistics & Probability Letters, 2020, 166, (C)

2019

2. MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS
   International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (02), 1-26 View citations (3)

2018

3. MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS
   International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (01), 1-30 View citations (3)

2017

4. A note on Marked Point Processes and multivariate subordination
   Statistics & Probability Letters, 2017, 122, (C), 162-167 View citations (1)

2016

5. Dependence calibration and portfolio fit with factor-based subordinators
   Quantitative Finance, 2016, 16, (7), 1037-1052 View citations (10)

2012

6. Z -Transform and preconditioning techniques for option pricing
   Quantitative Finance, 2012, 12, (9), 1381-1394 View citations (4)

2008

7. Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets
   Journal of Banking & Finance, 2008, 32, (10), 2033-2045 View citations (26)

1999

8. Neighborhood Turnpike Theorem for Continuous-Time Optimization Models
   Journal of Optimization Theory and Applications, 1999, 101, (3), 651-676 View citations (6)

1994

9. Un metodo di valutazione di un portafoglio assicurativo vita
   Decisions in Economics and Finance, 1994, 17, (2), 61-77 View citations (1)